If the bevel is not set, then technically you don't have an edge. Going on from there will polish the sides of the bevel but have little effect on sharpening the edge you have not yet created. The reason bevel-setting is so important is that it establishes the edge which all the later work can improve. Without setting a bevel and the resulting edge, you are moving on to steps 2,3,4, etc. without completing step one. You cannot improve an edge that does not yet exist.